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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July Crude Oil(NYM) as of Jan 01, 2018
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   29 30 32 32 33 33 34 34 34 35 35
Closed Higher   19 17 14 14 15 15 17 21 22 21 17
Exceeded High   18 14 14 9 13 15 16 19 20 20 12
Scenario Percentage   95% 82% 100% 64% 87% 100% 94% 90% 91% 95% 71%
Avg Max Increase   7.94% 9.67% 6.37% 9.22% 11.30% 9.35% 11.38% 11.18% 10.55% 8.92% 8.56%
Max Increase   38.98% 29.27% 21.25% 15.58% 22.63% 22.30% 28.77% 28.56% 26.09% 26.92% 14.79%
Avg Days To Max Increase   17 14 13 20 15 16 16 18 13 10 12
Avg Max Decline   -0.91% -1.22% -2.49% -2.53% -2.13% -2.60% -3.03% -2.43% -3.43% -2.22% -1.67%
Max Decline   -7.82% -5.67% -12.09% -8.73% -8.47% -8.56% -11.08% -14.39% -11.47% -7.16% -4.51%
Avg Days to Max Decline   9 8 4 11 5 10 8 9 10 5 4
2017 Contract Condition     Yes Yes   Yes Yes   Yes      
Action     Yes Yes   Yes Yes   No      
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Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   29 30 32 32 33 33 34 34 34 35 35
Closed Lower   10 13 18 18 18 18 17 13 12 13 18
Penetrated Low   7 9 15 17 15 13 9 6 7 8 12
Scenario Percentage   70% 69% 83% 94% 83% 72% 53% 46% 58% 62% 67%
Avg Max Decline   13.13% 13.49% 11.35% 11.33% 15.90% 15.76% 15.79% 10.27% 11.37% 10.81% 8.18%
Max Decline   25.80% 44.30% 46.58% 39.56% 32.04% 40.73% 43.39% 27.71% 17.47% 28.63% 24.87%
Avg Days To Max Decline   21 14 18 19 19 19 18 12 12 15 13
Avg Max Increase   -1.75% -1.39% -2.67% -2.48% -2.23% -3.54% -3.45% -4.46% -3.13% -4.47% -1.42%
Max Increase   -9.32% -10.57% -13.94% -7.00% -12.54% -11.80% -11.46% -11.25% -9.27% -10.98% -3.58%
Avg Days to Max Increase   9 9 10 9 10 8 5 16 7 10 4
2017 Contract Condition   Yes     Yes     Yes   Yes Yes Yes
Action   Yes     Yes     Yes   Yes Yes Yes
High 53.83 53.16 52.97 51.98 54.62 53.15 57.31 58.15 56.13 55.43 54.45 52.00
Low 49.20 45.75 44.91 47.30 50.00 46.65 52.52 54.20 53.22 48.01 48.55 44.13
Close/Last 52.31 46.77 48.75 51.63 50.16 52.94 56.76 54.70 55.00 51.42 49.62 48.32

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